On Émery's Inequality and a Variation-of-Constants Formula

DOI10.1080/07362990601139586zbMath1127.60062MaRDI QIDQ3444683

Onno van Gaans, Markus Reiss, Markus Riedle

Publication date: 4 June 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3167

zbMATH Keywords

semimartingale; variation-of-constants formula; stochastic delay differential equation; linear drift; Émery's inequality; functional Lipschitz coefficient

Mathematics Subject Classification ID

60G48: Generalizations of martingales

34K50: Stochastic functional-differential equations

60H20: Stochastic integral equations

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